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• W3036504615 endingPage "3141" @default.
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• W3036504615 abstract "Previous studies argue that the relationships between clean/green and dirty energy assets are time-varying, but there is a lack of evidence on the hedging ability of clean energy stocks and green bonds for dirty assets, such as crude oil and an energy stock index exchange traded fund (ETF), and the portfolio implications. Furthermore, potential drivers of the dynamics of the hedge portfolio returns are still unknown. To address these research gaps, the authors provide an extensive analysis of the hedging ability of clean/green assets against two dirty energy assets (crude oil prices and energy ETF) using daily data from 3 January 2012 to 29 November 2019. Using corrected dynamic conditional correlation models, the authors model correlation and then compute hedge ratios and hedging effectiveness, which all seem to vary with time. The results from hedging effectiveness indicate that investors should follow a dynamic hedging strategy and that clean energy stocks are more effective hedge than green bonds, especially for crude oil. The application of regression analyses shows that the implied volatilities of US equities and crude oil as well as US dollar index have a negative impact on the hedge portfolio returns, whereas gold prices and inflation have a positive impact." @default.
• W3036504615 created "2020-06-25" @default.
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• W3036504615 date "2020-06-17" @default.
• W3036504615 modified "2023-10-18" @default.
• W3036504615 title "Hedging Strategies of Green Assets against Dirty Energy Assets" @default.
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• W3036504615 doi "https://doi.org/10.3390/en13123141" @default.
• W3036504615 hasPublicationYear "2020" @default.
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